Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

A policy case study of blood in Australia

In 2008 the Australian government decided to remove white blood cells from all blood products. This policy of universal leucodepletion was a change to the existing policy of supplying leucodepleted products to high risk patients only. The decision was made without strong information about the cost-effectiveness of universal leucodepletion. The aims for this policy analysis are to generate cost-effectiveness data about universal leucodepletion, and to add to our understanding of the role of evidence and the political reality of healthcare decision-making in Australia. The cost-effectiveness analysis revealed universal leucodepletion costs $398,943 to save one year of life. This exceeds the normal maximum threshold for Australia. We discuss this result within the context of how policy decisions are made about blood, and how it relates to the theory and process of policy making. We conclude that the absence of a strong voice for cost-effectiveness was an important omission in this decision.

Role of the apolipoprotein E and catechol-O-methyltransferase genes in prospective and retrospective memory traits

Human memory is a complex neurocognitive process. By combining psychological and molecular genetics expertise, we examined the APOE ε4 allele, a known risk factor for Alzheimer's disease, and the COMT Val 158 polymorphism, previously implicated in schizophrenia, for association with lowered memory functioning in healthy adults. To assess memory type we used a range of memory tests of both retrospective and prospective memory. Genotypes were determined using RFLP analysis and compared with mean memory scores using univariate ANOVAs. Despite a modest sample size (n=197), our study found a significant effect of the APOE ε4 polymorphism in prospective memory. Supporting our hypothesis, a significant difference was demonstrated between genotype groups for means of the Comprehensive Assessment of Prospective Memory total score (p=0.036; ε4 alleles=1.99; all other alleles=1.86). In addition, we demonstrate a significant interactive effect between the APOE ε4 and COMT polymorphisms in semantic memory. This is the first study to investigate both APOE and COMT genotypes in relation to memory in non-pathological adults and provides important information regarding the effect of genetic determinants on human memory.

Integrating object locations in the memory representation of a spatial layout

The present study investigated how object locations learned separately are integrated and represented as a single spatial layout in memory. Two experiments were conducted in which participants learned a room-sized spatial layout that was divided into two sets of five objects. Results suggested that integration across sets was performed efficiently when it was done during initial encoding of the environment but entailed cost in accuracy when it was attempted at the time of memory retrieval. These findings suggest that, once formed, spatial representations in memory generally remain independent and integrating them into a single representation requires additional cognitive processes.

Neurobiological correlates of encoding strength of Pavlovian fear conditioned memory

Emotionally significant memories, especially those induced in conjunction with physical and mental trauma, are frequently retained for an individual’s lifetime. How these memories are organized and encoded within neural networks is a fundamental question. The lateral amygdala (LA) is a key nucleus for acquisition and maintenance of associative emotional memories. We used Pavlovian fear conditioning to study how ‘weaker’ and ‘stronger’ memories are encoded in neural networks of the LA. In Pavlovian fear conditioning a neutral stimulus, in this case a tone, is temporally paired with an aversive unconditioned stimulus (US), such as a foot shock. The previously neutral stimulus becomes a conditioned stimulus (CS) capable of eliciting defensive responses. We used time spent freezing when the CS is presented in a neutral context as a dependent variable measure of memory ‘strength’.

Memory strength effects in fMRI studies: A matter of confidence

To investigate potentially dissociable recognition memory responses in the hippocampus and perirhinal cortex, fMRI studies have often used confidence ratings as an index of memory strength. Confidence ratings, although correlated with memory strength, also reflect sources of variability, including task-irrelevant item effects and differences both within and across individuals in terms of applying decision criteria to separate weak from strong memories. We presented words one, two, or four times at study in each of two different conditions, focused and divided attention, and then conducted separate fMRI analyses of correct old responses on the basis of subjective confidence ratings or estimates from single- versus dual-process recognition memory models. Overall, the effect of focussing attention on spaced repetitions at study manifested as enhanced recognition memory performance. Confidence- versus model-based analyses revealed disparate patterns of hippocampal and perirhinal cortex activity at both study and test and both within and across hemispheres. The failure to observe equivalent patterns of activity indicates that fMRI signals associated with subjective confidence ratings reflect additional sources of variability. The results are consistent with predictions of single-process models of recognition memory.

What’s law got to do with it?: Medical negligence, causation and the use of policy

In a medical negligence context, and under the causation provisions enacted pursuant to Civil Liability Legislation in most Australian jurisdictions, the normative concept of “scope of liability” requires a consideration of whether or not and why a medical practitioner should be responsible for a patient’s harm. As such, it places a limit on the extent to which practitioners are deemed liable for a breach of the duty of care owed by them, in circumstances where a legal factual connection between that breach and the causation of a patient’s harm has already been shown. It has been said that a determination of causation requires ‘the identification and articulation of an evaluative judgement by reference to “the purposes and policy of the relevant part of the law”’: Wallace v Kam (2013) 297 ALR 383, 388. Accordingly, one of the normative factors falling within scope of liability is an examination of the content and purpose of the rule or duty of care violated – that is, its underlying policy and whether this supports an attribution of legal responsibility upon a practitioner. In this context, and with reference to recent jurisprudence, this paper considers: the policy relevant to a practitioner’s duty of care in each of the areas of diagnosis, treatment and advice; how this has been used to determine an appropriate scope of liability for the purpose of the causation inquiry in medical negligence claims; and whether such an approach is problematic for medical standards or decision-making.

BIFF to BAPFF: considering 'festival memory' in the face of innovation and change

As an art form, film has arguably always functioned as a stronghold for memory. Memories unfold in the stories told on screen, and remain preserved in the experiences of the audience viewing the film, at a particular time and place. The environment of a film festival further alters the viewing experience and its relationship to memory. The Brisbane International Film Festival (BIFF) was founded in 1992. After considerable disruption due to economic and socio-political changes, it took place for the last time in 2013. The change in BIFF’s leadership and programming agenda significantly impacted the festival’s image and its position on the wider festival circuit. Through an examination of cinema and memory) it will be argued that film festivals operate as (temporary) sites of memory, through the programming and screening of films, engagement with local audiences, and promotion of film culture. This specific and unique ‘festival memory’ inextricably links to the audience and the venue, and is curated by the festival programmers and staff, who carry a wealth of knowledge (not necessarily recorded), of past festivals, successes, and failures. The people involved, the festival staff and audience, act as caretakers of this ‘festival memory.’ This essay will therefore examine how the BIFF and its home, the Regent Theatre, have functioned as crucial ‘sites of memory’ for film and film culture in Brisbane, Australia.

Farewelling the regent: Considering 'festival memory' in the face of innovation and change

The rapid expansion of the international film festival circuit has included the loss of smaller, but well established festivals, often due to the perceived need for constant innovation and change. The Brisbane International Film Festival was founded in 1992. After considerable disruption to the festival’s leadership, programme and location due to economic and socio-political changes, it was held for the last time in 2013. Nafus and Anderson cite the term ‘lieux de memoire’, meaning ‘sites of memory’, as a place of “remembrance that exist(s) in a social world that constantly seeks to get ahead of itself, to “innovate” (Nafus and Anderson in Cefkin 2009, 141). The concept of ‘festival memory’ has not yet been explored in any depth, but such significant shifts in festivals such as BIFF are arguably sites where festival histories and identities, and film knowledge itself, can be irretrievably lost.

Narrative, Memory and the Crisis of Mimesis: the Case of Adam Elsheimer and Giordano Bruno

The triangular space between memory, narrative and pictorial representation is the terrain on which this article is developed. Taking the art of memory developed by Giordano Bruno (1548 – 1600) and the art of painting subtly revolutionised by Adam Elsheimer (1578 – 1610) as test-cases, it is shown how both subvert the norms of mimesis and narration prevalent throughout the Renaissance, how disrupted memory creates “incoherent” narratives, and how perspective and the notion of “place” are questioned in a corollary way. Two paintings by Elsheimer are analysed and shown to include, in spite of their supposed “realism”, numerous incoherencies, aporias and strange elements – often overlooked. Thus, they do not conform to two of the basic rules governing both the classical art of memory and the humanist art of painting: well-defined places and the exhaustive translatability of words into images (and vice-versa). In the work of Bruno, both his philosophical claims and the literary devices he uses are analysed as hints for a similar (and contemporaneous) undermining of conventions about the transparency and immediacy of representation.

Common past, divided memories: historical memory of the Polish minority members in Lithuania

The Master’s thesis examines historical memory of the Polish minority members in Lithuania with regard to how their interpretation of the common Polish-Lithuanian history reiterates or differs from the official Polish and Lithuanian narratives conveyed by the school textbooks. History teaching in high schools carries a crucial state-supported role of “identity building policies” – it maintains a national narrative of memory, which might be exclusive to minorities and their peculiar understanding of history. Lithuanians Poles, in this regard, represent a national minority, which is exposed to two conflicting national narratives of the common past – Polish and Lithuanian. As members of the Polish nation, their understanding of the common Polish-Lithuanian history is conditioned by the Polish historical narrative, acquired as part of the collective memory of the family and/or different minority organizations. On the other hand, they encounter Lithuanian historical narrative of the Polish-Lithuanian past throughout the secondary school history education, where the curriculum, even if taught in Polish, largely represents the Lithuanian point of view. The concept of collective memory is utilized to refer to collective representations of national memory (i.e. publicly articulated narratives and images of collective past in history textbooks) as well as to socially framed individual memories (i.e. historical memory of minority members, where individual remembering is framed by the social context of their identity). The thesis compares the official national historical narratives in Lithuania and Poland, as conveyed by the Polish and Lithuanian history textbooks. The consequent analysis of qualitative interviews with the Polish minority members in Lithuania offers insights into historical memory of Lithuanian Poles and its relation to the official Polish and Lithuanian national narratives of the common past. Qualitative content analysis is applied in both parts of the analysis. The narratives which emerge from the interview data could be broadly grouped into two segments. First, a more pronounced view on the past combines the following elements: i) emphasis on the value of multicultural and diverse past of Lithuania, ii) contestation of “Lithuanocentricity” of the Lithuanian narrative and iii) rejection of the term “occupation”, based on the cultural presuppositions – the dominant position of Polish culture and language in the Vilnius region, symbolic belonging and “Lithuanianness” of the local Poles. While the opposition to the term of “occupation” is in accord with the official Polish narrative conveyed by the textbooks, the former two elements do not neatly adhere to either Polish or Lithuanian textbook narratives. They should rather be considered as an expression of claims for inclusion of plural pasts into Lithuanian collective memory and hence as claims for symbolic enfranchisement into the Lithuanian “imagined community”. The second strand of views, on the other hand, does not exclude assertions about the historically dominant position of Polish culture in Lithuania, but at the same time places more emphasis on the political and historical continuity of the Lithuanian state and highlights a long-standing symbolic connectedness of Vilnius and Lithuania, thus, striking a middle way between the Polish and Lithuanian interpretations of the past.

'South-South' Remittance - Poverty reduction nexus. The Case of 'Hadiya' immigrants in South Africa, as Agents of 'Constituence development' in Ethiopia, and the policy implications of their 'remittance instrument'

This thesis explores the link between South-South remittance and development. It attempts to establish improved understanding about the role of immigrants as agents of constituency growth and development. By doing so, it illuminates the dark corners of the policy implications that the unconventional development agency of immigrants might have for countries in the Organization ft Economic Cooperation and Development (OECD). The thesis problematises the existence of state-centric international cooperation as providing the recipe for failed Aid in the face of global poverty menace. In the last half a century, the relative shi' of focus to non-state actors brought about the proliferation of NGOs. That, intrun, helped improve international access to crisis situations; however, their long-term remedial impacts on poverty and development have been contested. Major misgivings for non-governmental organizations (NGOs) are, on one hand, low level goal-bound expenditures and lack of independence from influence of the state, on the other. Therefore, the thesis enterprises to empirically verify its fundamental question whether remitting immigrants constitute an alternative development agency to the traditional players: the State and NGOs. Its main arguments are: due to state's failures in bringing sustainable development in many countries of the South, the future of poverty reduction and development also rests in immigrants' remittances. Nonetheless, in the last decade, remittance security-nexus dominated its discourse. Because of that remittance was viewed as something requiring global regime and restrictions. These temptations to tightly regulate remittance flows carry the danger of overlooking its trans-boundary nature and its strong link with livelihood of the poor. Therefore, to avoid unintended consequences of interventions, there need to be clear policy that bases itself on a discursive knowledge on the issues of North-South and South-South remittances The study involved both literature based and empirical research. It employed Discourse Analysis (C as main method for the former and snow-balling as its approach for the latter. For the first part the thesis constructed three conceptual models, these are: metrological model, police model and ecological model on remittance development-nexus. Through this modeling, the thesis achieved better deconstruction on the concepts remittance, immigrants and development agency. The protagonists of each model, the values and interests they represent, and their main arguments along various lines of dichotomies have been discussed. For instance, the main treats of meteorological model include: it sees remittance as transitional economic variable which require constant speculations and global management; it acts as meteorological station for following up or predicting the level, direction, flow and movement of global remittance. It focuses on official lines and considers the state as legitimate recipient of advic and positive consequence of remittance. On the other hand, police model views remittance as beir at best, development neutral or as an illicit activity requiring global regulations and tight control. Both immigrants and remittance viewed as subversive to establishments. It gives primacy to state stable agent of development and a partner for international cooperation. The anti-thesis to the police model is supplied by ecological model, which this thesis is a part. Ecological model on remittance and immigrants argues that, tight global regulations alone cannot be a panacea for possible abuse of informal remittance system. Ecological model, not only links remittance to poverty reduction, the main trust of development, but also considers the development agency of immigrants as critical factor for 21st century north-south development intervention. It sees immigrants as development conscious and their remittance instrument as most stable flow of finance to the developing countries. Besides, it sees remittance as effective poverty solutions than Foreign Direct Investment and international AID. This thesis focuses on the significance of South-South remittance and investigates the South Africa - Ethiopia remittance corridor, as case study; and empirically verifies the role of Ethiopian (Kembata and Hadiya) immigrants in South Africa as agents of local development back home. The study involved techniques of interview, group discussions, observations and investigative study. It also looked into the determinants of their migration to South Africa, and their remittance to Ethiopia. The theoretical models in the first part of the thesis have been operationalised throughout the empirical part to verify if the Kembata and Hadiya immigrants played the crucial role in their household poverty and local development in comparison with the Ethiopian state and the NGOs involved in the system. As evidenced by the research the thesis has made three distinct contributions to the discourse of remittance development-nexus. Fist, it systematized the debate about linkages between remittance, immigrants, development agency and policy of international cooperation by creating three conceptual models (school of thoughts); second, it singled out remitting immigrants as new agents of development in the South; third, it deconstructed concept of remittance and established South¬South remittance as additional sphere of academic investigation. In addition to the above contributions, the thesis finds that Kembata and Hadiya immigrants have engaged in various developmental activities in their locality than usually anticipated. Hence, it concludes that Ethiopian immigrants constitute an alternative development agency to the state and other non-state actors in their country, and the lesson can be applied to poverty reduction strategies in most developing countries.

Effects of morphine and its withdrawal on Y-maze spatial recognition memory in mice

Effects of morphine on acquisition and retrieval of memory have been proven in the avoidance paradigms. In present study, we used a two-trial recognition Y-maze to test the effects of acute morphine and morphine withdrawal on spatial recognition memory. T

Both stress experience and age determine the impairment or enhancement effect of stress on spatial memory retrieval

It has been documented that stress or glucocorticoids have conflicting effects on memory under different conditions. However, it is not fully understood why stress can either impair or enhance memory. Here, we have examined the performance of six age groups of Wistar rats in a water maze spatial task to evaluate the effects of stress under different conditions. We found that the impairment or enhancement effect of an 'elevated platform' (EP) stress on memory was dependent on previous stress experience and on age. EP stress impaired memory retrieval in water maze naive animals. but enhanced rather than impaired memory retrieval in young water maze stress-experienced animals. Furthermore, exogenously applied corticosterone or foot shock stress before water maze training prevented the impairment of memory retrieval that should be induced by treatment with corticosterone or foot shock before the 'probe trial'. Again, memory retrieval was enhanced in young animals under these conditions, and this enhancement can be prevented by the glucocorticoid receptor antagonist RU 38486. Thus, glucocorticoid receptor activation not only induced impairment of memory but also increased the capacity of young animals to overcome a later stress. The present findings suggest that the effect of stress on memory can be switched from impairment to enhancement dependent on both stress experience and age.

Correlations strike back (again): The case of associative memory retrieval

It has long been recognised that statistical dependencies in neuronal activity need to be taken into account when decoding stimuli encoded in a neural population. Less studied, though equally pernicious, is the need to take account of dependencies between synaptic weights when decoding patterns previously encoded in an auto-associative memory. We show that activity-dependent learning generically produces such correlations, and failing to take them into account in the dynamics of memory retrieval leads to catastrophically poor recall. We derive optimal network dynamics for recall in the face of synaptic correlations caused by a range of synaptic plasticity rules. These dynamics involve well-studied circuit motifs, such as forms of feedback inhibition and experimentally observed dendritic nonlinearities. We therefore show how addressing the problem of synaptic correlations leads to a novel functional account of key biophysical features of the neural substrate.